Quantitative Methods Flashcards
Holding Period Yield
= Ending Value - Beginning Value / Beginning Value
Annualized Holding Period Return
= {[Income + (P1 - P0)] / Initial Value + 1} ^ 1/4 - 1
Effective Annual Rate (EAR)
[1 + (I/n)]^n - 1
Effective Annual Yield (EAY)
= (1 + HPY)^365/t - 1
Bank Discount Yield
= (Discount / Face Val.)*(365 / Days to Maturity)
Time Weighted Return (TWR)
= [(End Val.1 / Beg. Val.1)*(End Val.2 / Beg. Val.2)…(End Val.n / Beg. Val.n)]^1/# years - 1
Money Market Yield
= HPY x (365 / Days to Maturity)
Holding Period Return
=Income + (End of period value - Initial value) / Initial Value
Sharpe Ratio
Rp - Rf / Standard Deviation
Coefficient Variation
Std. Deviation / Mean of Returns
Future Value
PV x (1+r)^n
Present Value
FV / (1+r)^n
PV Annuity Due
PV ordinary annuity x (1+r)
FV Annuity Due
FV ordinary annuity x (1+r)
PV Perpetuity
Periodic Payment/ Periodic Interest Rate
